The Mathematical Institute, University of Oxford, Eprints Archive

Fictitious Completion as a Tool to Solve Utility Maximisation Problems

Faiz Zulbadli, Muhammad (2015) Fictitious Completion as a Tool to Solve Utility Maximisation Problems. Masters thesis, oxford university.

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Abstract

In this paper, we apply the technique of fictitious completion (Karatzas et al. (1991)) and the martingale approach to study the problem of utility maximisation in a Markovian stochastic volatility model. We show that this method gives a solution to our incomplete market problem which is consistent with the distortion power solution (Zariphopoulou (2001)) obtained from the dynamic programming approach.

Item Type:Thesis (Masters)
Subjects:H - N > Mathematics education
Research Groups:Mathematical and Computational Finance Group
ID Code:1896
Deposited By: Laura Auger
Deposited On:08 Sep 2015 06:38
Last Modified:08 Sep 2015 06:38

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